VWAP Mean Reversion with Candle Patterns and ATR Risk Controls

Summary

This script outlines a daily VWAP mean-reversion approach. It calculates VWAP and a volume-weighted standard deviation from the current session, then treats the prior close outside the one-standard-deviation band as a setup: above the upper band for a short, below the lower band for a long. Candle-pattern conditions, including shooting stars, hammers, and dojis, are intended to help confirm entries. The shown inputs also include adaptive ATR sizing, a candle-range filter, risk-based sizing, stop distance, a take-profit multiple, spread, and entry options.

The available document is truncated before the full signal and order logic, so it does not fully specify how these filters combine or establish their effectiveness. It contains no described performance results. Its many adjustable rules create parameter and implementation uncertainty; the published script should be examined in full and tested across instruments, sessions, and costs before drawing conclusions.

Key ideas

• The strategy anchors its bands to session VWAP and a volume-weighted standard deviation.
• A prior close above the upper band suggests a short setup, while one below the lower band suggests a long setup.
• Candle formations are included as potential confirmation for mean-reversion entries.
• ATR-based filters and risk controls are configurable, including a candle-size limit and stop and target distances.
• The document is truncated before the full entry logic and provides no performance evidence.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.